Markov regime switching GARCH
Posted: Tue Sep 03, 2013 3:08 am
Hi,
I would like to estimate a bivariate Markov Regime Switching GARCH but I don't know how to do. I have used the BV-GARCH-PRG for estimating a bivariate BEKK-GARCH but I don't know how to estimate with a markov regime switching.
Could somebody help me? Thanks a lot, Paz
I would like to estimate a bivariate Markov Regime Switching GARCH but I don't know how to do. I have used the BV-GARCH-PRG for estimating a bivariate BEKK-GARCH but I don't know how to estimate with a markov regime switching.
Could somebody help me? Thanks a lot, Paz